This study applies the Markowitz analysis to the Istanbul Stock Exchange and empirically investigates the performance of this tool in an emerging market setting. The results show that during the early years of establishment of an emerging stock exchange, an active strategy of mean variance portfolio, investing with monthly balancing, outperforms the passive strategies. However, at later stages the capital market liberalization changes market participants. Together, with the increase in foreign participation and integration of the market with the rest of the world, the performance of means variance efficient portfolios detoriate. The study also reports that the strategy is not effective during financial crisis.